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Risk Manager(Banks,Asset Management,Insurance)

@SAH16928046

30 Jul

@GARP_Risk

I am doing my master's thesis on alternative option pricing models with applications to risk management (e.g. #VaR measures, hedging).
I have a good background in finance and econometrics.
What kind of new and valuable insight could I bring to this topic?
@GARP_Risk @PRMIA

VaR - Value at Risk is not an Option Pricing model!
BSOP Greeks enable the Options trader to understand and hedge against Market Risk in various forms.

You cannot really use VaR to price options on its own.
A RAROC / RARORAC / RORAC/ ROVAR Type Model might do the trick, but that is beyond the scope of your question and this discussion,

Read 18 tweets

Risk Manager(Banks,Asset Management,Insurance)

@SAH16928046

29 Jul

theactuary.com/features/2021/…

theactuary.com/news/2021/07/2…

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Risk Manager(Banks,Asset Management,Insurance)

@SAH16928046

28 Jul

I have even met some foolhardy alternative investment aka asset managers that use the BSOP Black Scholes Option Pricing Model Calculator to price oil exploration, drilling and other natural resource mining risks.
BS Option Pricing Model like its cousin the CAP-M is widely misused

Neither BSOP nor CAP-M were invented to price the risks of tangible engineering projects and other physical activities of commercial nature such as mining, drilling, real estate ventures, REITs, Securitized Toxic Assets, Embedded Bonds, etc.
Model Abuse leads to Modelling Risk!

Although the #BSOP Model has paved the way forward in the domains of Quantitative Finance, Investment Portfolio Management, and Mathematical Trading, like no other academic invention,, it's abuse and misuse, was never controlled.
#LTCM is a case study and an e.g. of that failure!

Read 5 tweets

Risk Manager(Banks,Asset Management,Insurance)

@SAH16928046

25 Jul

An Autocratic Ruler needs to control the following to maintain a tight grip over both power and people->
1. Education
2. Religious Interpretation
3. Taxation
4. Currency
5. Military
6. Monopoly Permits
7. Land
8. Unions
9. Publishing and Broadcasting
10. Property Rights

Of course, this is an expandable list!
Many are arguing that I should add more to it.
I just added a few domineering aspects, tools and policy interacting methods of governance, which a ruler might bring into use!
You may add more to the above suggestions.

In modern times, no leader, in the so-called developing world, outside the Fascist Southern European Region, the NAM Nations, LATAM Markets, and the OIC Bloc, had exercised so much control, across all walks of life, other than Late Lee Kuan Yew of #Singapore

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Risk Manager(Banks,Asset Management,Insurance)

@SAH16928046

24 Jul

cfainstitute.org/en/research/su…

blogs.cfainstitute.org/investor/2021/…

blogs.cfainstitute.org/investor/2018/…

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Risk Manager(Banks,Asset Management,Insurance)

@SAH16928046

24 Jul

@MorningstarInc

I will not invest in a mutual fund, until and unless I won't carry out specific due diligence of my own.
These @MorningstarInc style fund reports are not very helpful.
You should know inside out about the management and especially the fund manager who will be managing your money.

The standard Bull Shit advice marketed in the industry by investor relations and advisory experts =>
Maybe you can check out the Sharpe and Sortino ratios for funds before investing.

If you understand risk management concepts, do check out the VaR - Value at risk figures of all the competing funds drawn from the universe of investment possibilities.

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